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(P)ACF Vrouwen

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 23 Dec 2008 13:18:55 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/23/t1230063668ookkzudzul12jym.htm/, Retrieved Tue, 23 Dec 2008 21:21:08 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/23/t1230063668ookkzudzul12jym.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

54327 53476 52258 50156 47925 45844 47605 63617 67028 65845 60106 55317 53188 51010 49364 47616 45429 43480 44964 61008 64530 62960 57529 52954 51374 49211 47980 45575 44431 43596 45544 60109 63695 60819 54709 49357 46913 46728 44576 41988 40880 37860 38532 52713 56139 50939 46352 42169 42025 41713 40123 37737 36928 33812 36122 48823 51520 47090 42683 39947

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.784634	6.0778	0
2	0.425309	3.2944	0.000829
3	0.147315	1.1411	0.129181
4	0.022001	0.1704	0.432626
5	0.007728	0.0599	0.476233
6	-0.001027	-0.008	0.49684
7	-0.014188	-0.1099	0.456429
8	-0.016355	-0.1267	0.449808
9	0.067544	0.5232	0.301384
10	0.261936	2.0289	0.023454
11	0.51057	3.9549	0.000102
12	0.634271	4.913	4e-06
13	0.441137	3.417	0.000571
14	0.146718	1.1365	0.130139
15	-0.068274	-0.5289	0.29943
16	-0.152754	-1.1832	0.120693
17	-0.151979	-1.1772	0.121877
18	-0.161121	-1.248	0.108433
19	-0.171129	-1.3256	0.095006
20	-0.172654	-1.3374	0.093075
21	-0.106798	-0.8273	0.205686
22	0.039487	0.3059	0.380384
23	0.217683	1.6862	0.048479
24	0.298831	2.3147	0.012033
25	0.154356	1.1956	0.118272
26	-0.056882	-0.4406	0.330541
27	-0.192343	-1.4899	0.070746
28	-0.225623	-1.7477	0.042819
29	-0.200073	-1.5498	0.063229
30	-0.196311	-1.5206	0.066804
31	-0.20177	-1.5629	0.061668
32	-0.212993	-1.6498	0.052101
33	-0.184252	-1.4272	0.079351
34	-0.102162	-0.7913	0.215931
35	0.005801	0.0449	0.482155
36	0.059591	0.4616	0.323022
37	-0.030486	-0.2361	0.407062
38	-0.156965	-1.2158	0.114403
39	-0.216137	-1.6742	0.049649
40	-0.207625	-1.6083	0.056515
41	-0.168871	-1.3081	0.09792
42	-0.163621	-1.2674	0.104954
43	-0.165667	-1.2833	0.102169
44	-0.177349	-1.3737	0.087317
45	-0.16797	-1.3011	0.099102
46	-0.127151	-0.9849	0.164313
47	-0.070111	-0.5431	0.294544
48	-0.037161	-0.2878	0.387227
49	-0.069981	-0.5421	0.294888
50	-0.11133	-0.8624	0.195963
51	-0.110997	-0.8598	0.196666
52	-0.073267	-0.5675	0.286237
53	-0.023325	-0.1807	0.428617
54	-0.005685	-0.044	0.482512
55	0.001947	0.0151	0.494009
56	-0.006609	-0.0512	0.479672
57	-0.017113	-0.1326	0.447494
58	-0.018636	-0.1444	0.442851
59	-0.012116	-0.0938	0.462771
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.784634	6.0778	0
2	-0.495231	-3.836	0.000151
3	0.127251	0.9857	0.164124
4	0.049624	0.3844	0.351025
5	0.013833	0.1071	0.457515
6	-0.11492	-0.8902	0.188466
7	0.070321	0.5447	0.293988
8	0.007991	0.0619	0.475425
9	0.257909	1.9978	0.025142
10	0.271052	2.0996	0.019991
11	0.336091	2.6033	0.005808
12	-0.048632	-0.3767	0.353862
13	-0.529011	-4.0977	6.4e-05
14	0.218563	1.693	0.047823
15	-0.067799	-0.5252	0.300701
16	-0.108024	-0.8368	0.203026
17	-0.055576	-0.4305	0.33419
18	-0.03339	-0.2586	0.3984
19	-0.001227	-0.0095	0.496225
20	-0.105397	-0.8164	0.208751
21	0.001807	0.014	0.49444
22	-0.042448	-0.3288	0.371725
23	-0.045179	-0.35	0.363799
24	0.017906	0.1387	0.445077
25	0.005016	0.0389	0.484569
26	-0.004083	-0.0316	0.487437
27	0.033234	0.2574	0.398863
28	-0.02454	-0.1901	0.42494
29	0.027884	0.216	0.414864
30	-0.014117	-0.1093	0.456646
31	-0.030152	-0.2336	0.408062
32	-0.075813	-0.5872	0.279621
33	-0.072992	-0.5654	0.286958
34	-0.073868	-0.5722	0.28467
35	-0.036064	-0.2794	0.390468
36	-0.002324	-0.018	0.492849
37	-0.000265	-0.0021	0.499184
38	-0.019187	-0.1486	0.441175
39	0.026297	0.2037	0.419639
40	-0.047952	-0.3714	0.355812
41	-0.003761	-0.0291	0.488426
42	-0.034301	-0.2657	0.395693
43	0.052429	0.4061	0.343051
44	-0.041706	-0.3231	0.37389
45	-0.000209	-0.0016	0.499356
46	-0.028829	-0.2233	0.412028
47	-0.032722	-0.2535	0.400389
48	-0.022477	-0.1741	0.431185
49	0.127798	0.9899	0.163094
50	-0.039343	-0.3048	0.380805
51	-0.048851	-0.3784	0.353236
52	0.068265	0.5288	0.299456
53	0.053853	0.4171	0.339032
54	0.006313	0.0489	0.480581
55	0.006925	0.0536	0.478701
56	0.049033	0.3798	0.352714
57	-0.020519	-0.1589	0.437124
58	-0.038661	-0.2995	0.38281
59	0.016692	0.1293	0.448778
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230063668ookkzudzul12jym/16jd71230063530.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230063668ookkzudzul12jym/16jd71230063530.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230063668ookkzudzul12jym/2u8re1230063530.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230063668ookkzudzul12jym/2u8re1230063530.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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